ЦЕНТРАЛЬНЫЙ БАНК РОССИИ
БЮЛЛЕТЕНЬ
от 10 января 2003 г. N 1
Часть 1
ИТОГИ ТОРГОВЛИ ГОСУДАРСТВЕННЫМИ
КРАТКОСРОЧНЫМИ ОБЛИГАЦИЯМИ (ГКО) И ОБЛИГАЦИЯМИ
ФЕДЕРАЛЬНОГО ЗАЙМА (ОФЗ)
Торговля ГКО при суммарном объеме сделок за неделю 79.002 млн.
руб. по номиналу имела следующие параметры:
----------T--------T--------------------T-------T-------T---------
| Дата | Дата | Цены облигаций |Доход- |Оборот | Номер |
|погашения| торгов +------T------T------+ность | (млн. |выпуска |
| | | мин. |макс. |закр. |(% |руб. по|(справ.)|
| | | | | |год.) |номин.)| |
+---------+--------+------+------+------+-------+-------+--------+
|05.03.03 |09.01.03|98.550|98.550|98.550| 9.76 | 1.49 | 21161 |
+---------+--------+------+------+------+-------+-------+--------+
|02.04.03 |05.01.03|97.500|97.500|97.500| 10.76 | 0.50 | 21162 |
| +--------+------+------+------+-------+-------+ |
| |10.01.03|97.700|97.700|97.700| 10.48 | 1.00 | |
+---------+--------+------+------+------+-------+-------+--------+
|23.04.03 |05.01.03|96.600|96.600|96.600| 11.90 | 2.67 | 21163 |
| +--------+------+------+------+-------+-------+ |
| |10.01.03|97.000|97.000|97.000| 10.96 | 1.85 | |
+---------+--------+------+------+------+-------+-------+--------+
|07.05.03 |10.01.03|96.800|96.880|96.820| 10.20 | 40.50 | 21164 |
+---------+--------+------+------+------+-------+-------+--------+
|23.07.03 |05.01.03|94.000|94.245|94.245| 11.28 | 6.00 | 21165 |
| +--------+------+------+------+-------+-------+ |
| |10.01.03|94.050|94.050|94.050| 11.90 | 25.00 | |
L---------+--------+------+------+------+-------+-------+---------
Торговля ОФЗ при суммарном объеме сделок за неделю 4312.564
млн. руб. по номиналу имела следующие параметры:
----------T--------T------T-----------------------T------T-------T---------
| Дата | Дата |Накоп-| Цены облигаций |Доход-|Оборот | Номер |
|погашения| торгов |ленный+-------T-------T-------+ность | (млн. |выпуска |
| | |доход | мин. | макс. | закр. |(% |руб. по|(справ.)|
| | |(% от | | | |год.) |номин.)| |
| | |ном.) | | | | | | |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|22.01.03 |04.01.03| 2.00 |100.000|100.019|100.019| 10.27| 26.52| 27006 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 2.00 |100.050|100.070|100.070| 9.72| 8.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 2.10 |100.020|100.040|100.040| 9.72| 54.34| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 2.10 |100.000|100.090|100.090| 9.54| 18.13| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 2.20 |100.041|100.070|100.070| 7.17| 21.40| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|05.02.03 |04.01.03| 1.60 | 99.955|100.000|100.000| 10.67| 14.00| 27007 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 1.60 |100.020|100.060|100.050| 10.38| 55.30| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.70 |100.053|100.100|100.053| 9.74| 67.19| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.80 |100.090|100.100|100.100| 8.37| 0.19| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 1.80 |100.110|100.115|100.114| 8.37| 16.01| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.03 |05.01.03| 8.11 | 99.700| 99.750| 99.750| 11.14| 5.82| 26001 |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.05.03 |04.01.03| 1.20 | 99.430| 99.500| 99.500| 12.15| 27.19| 27008 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 1.30 | 99.520| 99.670| 99.670| 11.37| 41.50| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.30 | 99.700| 99.750| 99.750| 11.32| 11.64| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.40 | 99.760| 99.800| 99.800| 10.95| 6.96| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.06.03 |04.01.03| 0.90 | 99.300| 99.350| 99.350| 12.10| 44.20| 27009 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 0.90 | 99.400| 99.640| 99.640| 11.59| 88.14| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.00 | 99.580| 99.600| 99.580| 11.43| 15.08| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.00 | 99.650| 99.650| 99.650| 11.34| 2.72| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 1.00 | 99.750| 99.850| 99.850| 10.99| 40.95| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|17.09.03 |04.01.03| 0.50 | 98.400| 98.400| 98.400| 12.97| 0.55| 27010 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 0.50 | 98.700| 99.000| 99.000| 12.13| 83.04| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 0.60 | 99.010| 99.050| 99.050| 11.94| 21.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 0.60 | 99.050| 99.200| 99.150| 11.79| 50.63| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 0.60 | 99.200| 99.500| 99.500| 11.35| 28.85| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|08.10.03 |05.01.03| 2.40 | 98.700| 99.000| 98.900| 12.13| 64.60| 27011 |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 0.00 | 98.980| 99.020| 99.020| 11.93| 56.26| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 0.00 | 99.100| 99.245| 99.240| 11.67| 35.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 0.10 | 99.250| 99.350| 99.350| 11.35| 5.08| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|19.11.03 |05.01.03| 1.30 | 98.498| 98.600| 98.521| 12.09| 26.05| 27012 |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.30 | 98.779| 98.800| 98.800| 11.90| 10.24| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.40 | 98.848| 99.000| 99.000| 11.61| 5.00| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 1.40 | 98.940| 98.050| 99.050| 11.55| 6.65| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|21.01.04 |04.01.03| 2.00 | 97.500| 97.500| 97.500| 13.22| 1.00| 28001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 2.00 | 97.910| 98.000| 98.000| 12.69| 5.58| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 2.10 | 98.071| 98.200| 98.080| 12.46| 10.15| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 2.10 | 98.201| 98.400| 98.310| 12.37| 36.33| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 2.20 | 98.270| 98.600| 98.600| 12.00| 26.95| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.02.04 |04.01.03| 1.94 | 99.310| 99.310| 99.310| 13.30| 0.00| 27015 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 1.97 |100.000|100.002|100.000| 12.54| 118.62| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 2.07 |100.000|100.036|100.035| 12.51| 337.97| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 2.10 |100.010|101.040|100.200| 12.46| 565.25| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 2.14 |100.140|100.211|100.210| 12.32| 428.31| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|02.06.04 |05.01.03| 1.05 | 99.930| 99.931| 99.930| 12.60| 20.00| 27013 |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.15 | 99.930| 99.930| 99.930| 12.60| 42.72| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.18 | 99.950| 99.950| 99.950| 12.59| 17.98| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 1.22 | 99.701|100.300|100.200| 12.37| 31.09| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|04.08.04 |08.01.03| 2.07 | 99.200| 99.301| 99.300| 13.11| 7.52| 27017 |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 2.10 | 99.299| 99.650| 99.650| 12.82| 25.02| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 2.14 | 99.201| 99.950| 99.201| 12.68| 9.81| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.12.04 |08.01.03| 0.69 | 98.900| 99.915| 99.915| 13.14| 46.52| 27014 |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 0.72 | 99.099| 99.800| 99.800| 12.70| 8.55| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 0.76 | 99.800| 99.800| 99.800| 12.68| 1.65| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.03.05 |08.01.03| 8.19 | 93.750| 93.790| 93.750| 13.43| 33.00| 26003 |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 8.22 | 93.800| 94.150| 94.020| 13.24| 7.65| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 8.25 | 94.000| 94.050| 94.048| 13.27| 6.73| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|20.04.05 |05.01.03| 3.62 |100.450|100.500|100.500| 13.13| 10.00| 27021 |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 3.74 |100.800|100.800|100.800| 12.94| 3.04| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 3.78 |100.900|101.000|101.000| 12.86| 17.62| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|14.09.05 |04.01.03| 0.65 | 99.988| 99.990| 99.988| 13.20| 0.57| 27018 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 0.69 |100.200|100.200|100.200| 13.09| 0.01| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 0.81 |100.000|100.040|100.040| 13.17| 63.68| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 0.84 |100.030|100.065|100.065| 13.15| 5.11| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 0.88 |100.100|100.300|100.300| 13.06| 21.19| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|15.11.06 |04.01.03| 1.73 | 96.960| 97.100| 97.100| 13.76| 18.07| 45001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 1.76 | 97.120| 98.100| 98.100| 13.47| 77.63| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 1.88 | 98.110| 98.210| 98.180| 13.26| 134.78| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 1.92 | 98.170| 98.195| 98.180| 13.26| 192.24| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 1.96 | 98.100| 98.300| 98.300| 13.25| 456.09| |
+---------+--------+------+-------+-------+-------+------+-------+--------+
|10.09.08 |04.01.03| 0.65 | 94.011| 94.011| 94.011| 13.76| 1.29| 46001 |
| +--------+------+-------+-------+-------+------+-------+ |
| |05.01.03| 0.69 | 95.000| 95.500| 95.500| 13.37| 32.06| |
| +--------+------+-------+-------+-------+------+-------+ |
| |08.01.03| 0.81 | 95.280| 95.450| 95.365| 13.33| 114.11| |
| +--------+------+-------+-------+-------+------+-------+ |
| |09.01.03| 0.84 | 95.340| 95.417| 95.414| 13.31| 75.55| |
| +--------+------+-------+-------+-------+------+-------+ |
| |10.01.03| 0.88 | 95.300| 95.511| 95.511| 13.28| 342.65| |
L---------+--------+------+-------+-------+-------+------+-------+---------
Часть 2
ОСНОВНЫЕ ХАРАКТЕРИСТИКИ БЛИЖАЙШИХ КУПОННЫХ ВЫПЛАТ ПО ОФЗ
---------T------------------------T-------T--------T--------------
|Регистр.|Дата выплаты ближайшего |Дней до|Купонная|Размер купона|
| номер | купона |выплаты| ставка | в рублях |
|выпуска | |купона |(% год.)| |
+--------+------------------------+-------+--------+-------------+
| 25029 | 27.11.2003 | 321 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 25053 | 24.11.2003 | 318 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26001 | 15.03.2003 | 64 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26002 | 15.03.2003 | 64 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26003 | 15.03.2003 | 64 | 10.00 | 100.00 |
+--------+------------------------+-------+--------+-------------+
| 26032 | 27.11.2003 | 321 | 5.00 | 50.00 |
+--------+------------------------+-------+--------+-------------+
| 26175 | 24.11.2003 | 318 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26176 | 25.11.2003 | 319 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26177 | 27.11.2003 | 321 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 26178 | 28.11.2003 | 322 | 2.00 | 19.95 |
+--------+------------------------+-------+--------+-------------+
| 27006 | 22.01.2003 | 12 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27007 | 05.02.2003 | 26 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27008 | 19.02.2003 | 40 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27009 | 05.03.2003 | 54 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27010 | 19.03.2003 | 68 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27011 | 09.04.2003 | 89 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 27012 | 21.05.2003 | 131 | 10.00 | 0.50 |
+--------+------------------------+-------+--------+-------------+
| 27013 | 05.03.2003 | 54 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27014 | 19.03.2003 | 68 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27015 | 05.02.2003 | 26 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27016 | 19.02.2003 | 40 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27017 | 05.02.2003 | 26 | 12.00 | 29.92 |
+--------+------------------------+-------+--------+-------------+
| 27018 | 19.03.2003 | 68 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 27021 | 22.01.2003 | 12 | 15.00 | 43.15 |
+--------+------------------------+-------+--------+-------------+
| 28001 | 22.01.2003 | 12 | 10.00 | 0.25 |
+--------+------------------------+-------+--------+-------------+
| 45001 | 19.02.2003 | 40 | 14.00 | 34.90 |
+--------+------------------------+-------+--------+-------------+
| 46001 | 19.03.2003 | 68 | 14.00 | 34.90 |
L--------+------------------------+-------+--------+--------------
Часть 3
ОСНОВНЫЕ ХАРАКТЕРИСТИКИ ОБРАЩАЮЩИХСЯ ВЫПУСКОВ
ГКО - ОФЗ - ОБР
---------T--------T--------T-----T-------T------T--------T----------T----------
|Регистр.|Дата |Дата |Срок |Кол-во |Кол-во| Кол-во | Объем |Неразмещ.|
| номер |размеще-|погаше- |до |траншей|дораз-|досрочн.|в обращ., |остаток, |
|выпуска |ния |ния |пога-| (вкл. |меще- |выкупов |млн. руб. |млн. руб.|
| | | |шения| осн.) |ний | | | |
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21161 |17.07.02|05.03.03| 54| 2 | 10 | | 6812.778| 2187.222|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21162 |04.09.02|02.04.03| 82| 1 | 5 | | 3712.150| 287.850|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21163 |23.10.02|23.04.03| 103| 1 | 8 | | 3663.739| 336.261|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21164 |20.11.02|07.05.03| 117| 1 | 1 | | 1787.724| 3212.276|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 21165 |04.12.02|23.07.03| 194| 1 | | | 2805.287| 2194.713|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25029 |27.11.98|27.11.03| 321| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 25053 |26.12.00|21.11.05| 1046| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26001 |15.03.97|15.03.03| 64| 1 | | | 148.091| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26002 |15.03.97|15.03.04| 430| 1 | | | 265.174| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26003 |15.03.97|15.03.05| 795| 1 | | | 1131.559| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26032 |27.11.98|27.11.04| 687| | | | 163.722| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26175 |26.12.00|20.11.06| 1410| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26176 |26.12.00|20.11.07| 1775| | | | 5.036| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26177 |26.12.00|20.11.08| 2141| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 26178 |26.12.00|20.11.09| 2506| | | | 5.035| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27006 |19.08.98|22.01.03| 12| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27007 |19.08.98|05.02.03| 26| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27008 |19.08.98|21.05.03| 131| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27009 |19.08.98|04.06.03| 145| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27010 |19.08.98|17.09.03| 250| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27011 |19.08.98|08.10.03| 271| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27012 |14.11.99|19.11.03| 313| | | | 9115.111| 8491.289|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27013 |06.06.01|02.06.04| 509| 3 | 65 | | 15000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27014 |11.07.01|15.12.04| 705| 2 | 78 | | 10000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27015 |08.08.01|04.02.04| 390| 3 | 62 | | 16000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27016 |21.11.01|20.08.03| 222| 1 | 1 | | 5672.494| 6327.506|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27017 |06.02.02|04.08.04| 572| 2 | 64 | | 12000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27018 |20.03.02|14.09.05| 978| 2 | 45 | | 14000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 27021 |09.10.02|20.04.05| 831| 1 | 1 | | 6000.000| 0.000|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 28001 |19.08.98|21.01.04| 376| | | | 9542.319| 446.431|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 45001 |22.05.02|15.11.06| 1405| 5 | 79 | | 30327.334| 1672.666|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
| 46001 |18.09.02|10.09.08| 2070| 2 | 28 | | 12606.199| 1393.801|
+--------+--------+--------+-----+-------+------+--------+----------+---------+
|Итого: | |218196.497|29228.603|
L--------+-----------------------------------------------+----------+----------
Часть 4
НЕКОТОРЫЕ АНАЛИТИЧЕСКИЕ ПОКАЗАТЕЛИ, ХАРАКТЕРИЗУЮЩИЕ
РЫНОК ГКО - ОФЗ - ОБР
---------------------------T--------T--------T--------T--------T---------
| |04.01.03|05.01.03|08.01.03|09.01.03|10.01.03|
+--------------------------+--------+--------+--------+--------+--------+
|1. Индикаторы (% годовых):| | | | | |
+--------------------------+--------+--------+--------+--------+--------+
|а) рыночного портфеля <*> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 13.01 | 11.60 | 11.32 | 10.54 | 10.46 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 11.76 | 11.44 | 11.49 | 11.34 | 11.33 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 13.76 | 13.43 | 13.29 | 13.28 | 13.26 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 13.19 | 12.66 | 12.67 | 12.53 | 12.37 |
+--------------------------+--------+--------+--------+--------+--------+
|б) оборота рынка <**> | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 0.00 | 11.39 | 0.00 | 9.76 | 11.04 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.00 | 11.14 | 13.43 | 13.24 | 13.27 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 13.76 | 13.43 | 13.30 | 13.28 | 13.26 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 12.08 | 12.27 | 12.65 | 12.45 | 12.30 |
+--------------------------+--------+--------+--------+--------+--------+
|2. Коэффициенты | | | | | |
| оборачиваемости | | | | | |
+--------------------------+--------+--------+--------+--------+--------+
| ГКО | 0.00 | 0.05 | 0.00 | 0.01 | 0.36 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ПД | 0.00 | 0.33 | 1.75 | 0.41 | 0.36 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-АД | 0.05 | 0.26 | 0.58 | 0.63 | 1.85 |
+--------------------------+--------+--------+--------+--------+--------+
| ОФЗ-ФД | 0.07 | 0.34 | 0.49 | 0.52 | 0.42 |
L--------------------------+--------+--------+--------+--------+---------
--------------------------------
<*> Рассчитывается как средняя простая доходность по ГКО и
эффективная доходность по ОФЗ, взвешенная по срокам до погашения и
объемам в обращении.
<**> Рассчитывается как средняя простая доходность по ГКО и
эффективная доходность по ОФЗ, взвешенная по срокам до погашения и
оборотам вторичного рынка.
Часть 5
НЕКОТОРЫЕ МАКРОХАРАКТЕРИСТИКИ РЫНКА ГКО - ОФЗ - ОБР
-----------------------T---------T---------T---------T---------T----------
| | 04.01.03| 05.03.03| 08.01.03| 09.01.03| 10.01.03|
+----------------------+---------+---------+---------+---------+---------+
|Номинальная стоимость,|217007.80|217007.80|217271.46|217580.07|218196.50|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18781.68| 18781.68| 18781.68| 18781.68| 18781.68|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1897.45| 1897.45| 1897.45| 1897.45| 1897.45|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 42286.90| 42286.90| 42374.93| 42433.53| 42933.53|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |154041.78|154041.78|154217.42|154467.42|154583.84|
+----------------------+---------+---------+---------+---------+---------+
|Рыночная стоимость, |216158.23|217255.37|217760.23|218414.02|219352.33|
|млн. руб. | | | | | |
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 18091.60| 18174.96| 18174.96| 18226.06| 18264.07|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 1911.15| 1912.20| 1920.46| 1924.74| 1924.73|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 41276.15| 41633.59| 41917.29| 41996.99| 42525.92|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД |154879.33|155534.62|155747.52|156266.24|156637.61|
+----------------------+---------+---------+---------+---------+---------+
|Дюрация <*>, дней | 478.41| 478.47| 476.56| 475.52| 475.95|
+----------------------+---------+---------+---------+---------+---------+
| ГКО | 101.26| 100.40| 97.40| 96.29| 95.29|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ПД | 484.70| 484.03| 482.30| 482.05| 481.16|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-АД | 1046.18| 1047.55| 1044.75| 1043.65| 1043.86|
+----------------------+---------+---------+---------+---------+---------+
| ОФЗ-ФД | 371.08| 370.25| 367.81| 366.99| 366.09|
L----------------------+---------+---------+---------+---------+----------
--------------------------------
<*> Рассчитывается как средний срок до погашения, взвешенный
по объемам в обращении.
Департамент операций
на открытом рынке
Банка России
|
